Lucy is a child whose father sends her with a lantern to fetch her mother from town because it is supposed to be a stormy, snowy night. The father is afraid the mother might get lost without the lantern light to guide her. Lucy goes, but the storm comes up unexpectedly quickly—"before its time"—and Lucy is the one who gets lost.

Her frantic parents search for her everywhere. They look and shout for her all night, but find nothing. At daybreak, the mother notices her daughter's footprints in the snow. The parents follow the prints to a wooden bridge near their cottage. In the middle of the bridge, the footprints stop. As the poem states:

They followed from the snowy bank
Those footmarks, one by one,
Into the middle of the plank;
And further there were none!

Presumably, Lucy fell into the water and perished, but the local folklore has it that the young girl, formerly a solitary child who loved nature, is still alive and living in the wild.

We are not told exactly how poor Lucy Gray dies, but we do know that her parents manage to trace her footprints to the middle of a bridge.  The bridge must be rather primitive because it is described as a "plank." We also know that it is a cold and snowy night when Lucy gets lost, so we can guess that she either died from exposure and fell of the "plank" or in despair or confusion, jumped of the plank.  Because this bridge is very close to Lucy's home, it makes it even sadder that she does not manage to get home or be discovered before she dies.  Of course, at the end of the poem, there is a suggestion that Lucy Gray might still be alive, but this seems to be more of a suggestion that Lucy Gray is haunting the area.